Related papers: Risk Modelling on Liquidations with L\'{e}vy Proce…
The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The…
The study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserve into a risky asset with the price dynamics given by a geometric Brownian motion. We…
We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal stopping we propose a valuation functional with sound…
In this manuscript we consider the dual risk model with financial application, where the random gains occur under a renewal process. We particularly work the Erlang(n) case for common distribution of the inter-arrival times, from there it…
We consider two insurance companies with endowment processes given by Brownian motions with drift. The firms can collaborate by transfer payments in order to maximize the probability that none of them goes bankrupt. We show that pushing…
We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk and calculate associated capital requirements. Our model includes many desirable…
This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is…
This paper studies a general L\'evy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the regime-switching model. We first show the optimality of a double barrier strategy in…
This project works with the risk model developed by Li et al. (2015) and quests modelling, estimating and pricing insurance for risks brought in by innovative technologies, or other emerging or latent risks. The model considers two…
We review Markov models of surplus in life insurance based on a counting process following Norberg (1991), uniting probabilistic theory with elements of practice largely drawn from UK experience. First, we organize models systematically…
There is an abundance of useful fluctuation identities for one-sided L\'evy processes observed up to an independent exponentially distributed time horizon. We show that all the fundamental formulas generalize to time horizons having matrix…
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability distribution; the stochastic volatility is…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
Numerical evaluation of ruin probabilities in the classical risk model is an important problem. If claim sizes are heavy-tailed, then such evaluations are challenging. To overcome this, an attractive way is to approximate the claim sizes…
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and…
Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1).$ Parisian ruin is defined as a classical ruin that happens over an extended period of time,…
We consider a surplus process of drifted fractional Brownian motion with the Hurst index $H>1/2$, which appears as a functional limit of drifted compound Poisson risk models with correlated claims, and this is a kind of representation of a…
This paper proposes a new family of Tweedie-based ratemaking models that explicitly account for mid-term policy cancellations. Using an automobile insurance dataset from a Canadian insurer, we document a marked difference in claims…
We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156--180]…
A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…